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Cambridge Working Papers in Economics

Onatski, A. Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise., CWPE1808 (2018)
Dharmawansa, P., Johnstone, I. M., and Onatski, A. Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios, CWPE1807 (2018)
Johnstone, I. M. and Onatski, A. Testing in High-Dimensional Spiked Models, CWPE1806 (2018)
Linton, O. and Mahmoodzadeh, S. Implications of High-Frequency Trading for Security Markets, CWPE1802 (2018)
Harvey, A. and Thiele, S. Co-integration and control: assessing the impact of events using time series data, CWPE1731 (2017)
Boneva, L. and Linton, O. A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance, CWPE1703 (2017)
Doppelhofer, G., Moe Hansen, O-P. and and Weeks, M. Determinants of long-term economic growth redux: A Measurement Error Model Averaging (MEMA) approach, CWPE1702 (2017)
Pesaran, Hashem. and Johnsson. Ida. Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes, CWPE1679 (2016)
Pesaran, H. and Yang, C. F. Econometric Analysis of Production Networks with Dominant Units , CWPE1678 (2016)
Chudik, A., and Kapetanios, G. and Pesaran, Hashem A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models, CWPE1677 (2016)
Linton, O. and Wu, J. A coupled component GARCH model for intraday and overnight volatility, CWPE1671 (2016)
Hafner, C. M. and Linton, O. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case, CWPE1664 (2016)
Mohaddes, K. and Pesaran, M. H. Oil Prices and the Global Economy: Is It Different This Time Around?, CWPE1640 (2016)
Onatski, A. and Wang, C. Alternative Asymptotics for Cointegration Tests in Large VARs, CWPE1637 (2016)
Chen, X., Linton, O. and Schneeberger, S. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model, CWPE1620 (2016)
Chudik, A., Kapetanios, G. and Pesaran, M. H. Big Data Analytics: A New Perspective, CWPE1611 (2016)
Escanciano, J. C., Hoderlein, S., Lewbel, A. and Linton, O. Nonparametric Euler Equation Identification andEstimation, CWPE1560 (2015)
Harvey, A. C. and Lange, R.-J. Modeling the Interactions between Volatility and Returns, CWPE1518 (2015)
Harvey, A. C. and Lange, R.-J. Volatility Modeling with a Generalized t-distribution, CWPE1517 (2015)
Hong, S. Y., Linton, O. and Zhang , H. J. Multivariate Variance Ratio Statistics, CWPE1459 (2014)
Körber, L., Linton, O. and Vogt, M. The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market, CWPE1454 (2014)
Han, H., Linton, O., Oka, T. and Whang, Y.-J. The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series, CWPE1452 (2014)
Harvey, A. C. and Thiele, S. Testing against Changing Correlation, CWPE1439 (2014)
Pesaran, H. and Smith, R. Tests of Policy Ineffectiveness in Macroeconometrics, CWPE1415 (2014)
Bailey , N., Smith, V. and Pesaran, H. A multiple testing approach to the regularisation of large sample correlation matrices, CWPE1413 (2014)
Hayakawa, K., Smith, V. and Pesaran, H. Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with interactive effects, CWPE1412 (2014)
Chudik, A. and Pesaran, H. Theory and Practice of GVAR Modeling, CWPE1408 (2014)
Pesaran, H., Cesa-Bianchi, A. and Rebucci, A. Uncertainty and Economic Activity: A Global Perspective, CWPE1407 (2014)
Caivano, M. and Harvey, A. C. Two EGARCH models and one fat tail, CWPE1326 (2013)
Caivano, M. and Harvey, A. C. Time series models with an EGB2 conditional distribution, CWPE1325 (2013)
Robertson, D. and Sarafidis, V. IV Estimation of Panels with Factor Residuals , CWPE1321 (2013)
Pesaran, H. and Chudik, A. Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors, CWPE1317 (2013)
Andres, P. and Harvey, A. C. The Dyanamic Location/Scale Model: with applications to intra-day financial data, CWPE1240 (2012)
Harvey, A. C. and Sucarrat, G. EGARCH models with fat tails, skewness and leverage, CWPE1236 (2012)
Hayakawa, K. and Pesaran, M. Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models, CWPE1224 (2012)
Pesaran, M. and Yamagata, T. Testing CAPM with a Large Number of Assets (Updated 28th March 2012), CWPE1210 (2012)
Pesaran, M. H. Testing Weak Cross-Sectional Dependence in Large Panels, CWPE1208 (2012)
Bailey, N., Kapetanios, G. and Pesaran, M. H. Exponent of Cross-sectional Dependence: Estimation and Inference, CWPE1206 (2012)
Pesaran, M. H., Pick, A. and Pranovich, M. Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011), CWPE1163 (2011)
Pesaran, M. H. and Xu, T. Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults, CWPE1159 (2011)
Cesa-Bianchi, A., Pesaran, M., Rebuccih, . A. and Xu, T. China's Emergence in the World Economy and Business Cycles in Latin America, CWPE1150 (2011)
Pesaran, M. and Smith, R. P. Beyond the DSGE straightjacket, CWPE1138 (2011)
Koop, G., Pesaran, M. H. and Smith, R. P. On Identification of Bayesian DSGE Models, CWPE1131 (2011)
Winkelried, D. and Smith, R. J. Principal Components Instrumental Variable Estimation, CWPE1119 (2011)
Pesaran, M. H. and Chudik, A. Aggregation in Large Dynamic Panels, CWPE1118 (2011)
Doppelhofer, G. and Weeks, M. Robust Growth Determinants, CWPE1117 (2011)
Harvey, A. C. Exponential Conditional Volatility Models, CWPE1040 (2010)
Pesaran, M. H. Predictability of Asset Returns and the Efficient Market Hypothesis, CWPE1033 (2010)
Pesaran , M. H. Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market, CWPE1025 (2010)
Pesaran , M. H. and Chudik, A. Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit, CWPE1024 (2010)

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Empirical Microeconomics Research Group




Carlos Carrillo-Tudela
(Essex)
'The Cost of Job Loss (joint with Ken Burdett and Melvyn Coles)'
Tuesday 15th January 2019 1:00pm
Meade Room,
Joan Monras
(CEMFI)
'TBA'
Tuesday 22nd January 2019 1:00pm
Meade Room,


Recent Publications


Munshi, K. and Rosenzweig, M. Networks and misallocation: insurance, migration, and the rural-urban wage gap American Economic Review [2016]

Fruehwirth, J., Iyer, S. and Zhang, A. Religion and Depression in Adolescence Journal of Political Economy, forthcoming [2018]

Cesarani, D., Lindqvist, E., Ostling, R. and Wallace, B. Wealth, health, and child development: evidence from administrative data on Swedish lottery players Quarterly Journal of Economics [2016]



Selected CWPE


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41

Reorganise, Replace or Expand? The role of the supply-chain in first-time exporting, Spray, J.

16
14

Policies for decarbonizing a liberalized power sector, Newbery, D. M.

16
63

The political economy of carbon pricing: a panel analysis, Dolphin, G.G., Pollitt, M. G. and Newbery, D.G.